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Multidimensional BSDEs with Mixed Reflections and Balance Sheet Optimal Switching Problem
In this paper, we study a system of multidimensional coupled reflected backward stochastic differential equations (RBSDEs) with interconnected generators and barriers and mixed reflections, i.e. oblique and normal reflections. This system of equations is arising in the context of optimal switching p...
| Autores principales: | , , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
2020
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7304763/ http://dx.doi.org/10.1007/978-3-030-50436-6_43 |